摘要翻译:
本文介绍了一种多止损期权的极限形式,使得持有者动态地选择一个权重函数来控制随着时间的推移支付(利益)的分配。在商品和能源交易的应用中,控制过程可以表示在当前时间以固定价格可以购买的数量。在另一个示例中,该控件表示亚式期权修改中积分的权重。这些期权的定价需要解决一个随机控制问题。通过对抛物型Bellman方程的修正,得到了一些存在性结果和定价规则。
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英文标题:
《Controlled options: derivatives with added flexibility》
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作者:
Nikolai Dokuchaev
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最新提交年份:
2011
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Mathematics 数学
二级分类:Optimization and Control 优化与控制
分类描述:Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学,线性规划,控制论,系统论,最优控制,博弈论
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英文摘要:
The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy trading, a control process can represent the quantity that can be purchased by a fixed price at current time. In another example, the control represents the weight of the integral in a modification of the Asian option. The pricing for these options requires to solve a stochastic control problem. Some existence results and pricing rules are obtained via modifications of parabolic Bellman equations.
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PDF链接:
https://arxiv.org/pdf/1012.1412